What is the equivalent of sweep on a rail in Rhino? Bevel is not working for me
Final:



Steps:

Bevel object.

This will be our shape (profile) needed for beveling main neckles.

You can create it from Add > Curve > Circle and:


Rotate it on X axis by 90 degrees.
Go to Front Ortho view. 
Select half of it.
Press V and select Vector.
Move middle point to be even with top/bottom ones (you can use Snap to Vertices).
Go to Object Mode.
Scale it down a little.





  Note: It's important to have this shape properly rotated before
  Beveling another Curve.


Main object.


Create another Curve > Circle.
Go to Object Data tab.
Choose Bevel Object we have created earlier.
Check Fill Caps.
Uncheck Cyclic.
Position Bezier Points as you need.